Bastian Vasquez, a 25-year-old of Chilean origin, allegedly appears in the video, said to have been produced by the Islamic State of Iraq and Syria (Isis), gloating over the fall of an Iraqi border post.
On the video, posted on liveleak.com on Sunday, the man states that Isis had taken the post and killed several Iraqi soldiers.
"The PST has decided to investigate Bastian Vasquez in relation to the published footage," Norway's police security service (PST) said on Twitter.
In 2012, Vasquez was accused of making threats against the Norwegian royal family and former prime minister Jens Stoltenberg in another video.
After he did not show up for his trial, Norway launched an international hunt for him with the PST suspecting he could have gone to Syria.
The police security service told Norwegian newspaper Dagbladet that Vasquez, alias Abu Safiyyah or Mohammad Jundullah, is charged with participation in or support of a terrorist organization.
It is unclear whether Vasquez is an active fighter or carries out other tasks for Isis.
The man said to be Vasquez in the video is shown at a deserted border post amid burnt-out patrol cars.
"We killed most of them, some of them ran off and we took a lot of prisoners," he says in broken English.
"They are nothing but cowards, they only run away, the Iraqi army."
The footage also showed between ten and 20 hostages — apparently Shia Muslims — taken by Isis, and the moment Vasquez blew up a building he said used to house a police station.
According to the PST, at least 40 to 50 people with links to Norway have fought or are currently fighting in Syria with forces opposed to the Bashar al-Assad regime.
In Syria, Isis — which now calls itself the Islamic State — is fought by other rebel groups which accuse it of seeking hegemonic power and of committing atrocities against civilians, pacifist activists and other rebels.